21#include <ql/pricingengines/asian/mc_discr_geom_av_price.hpp>
22#include <ql/pricingengines/asian/mc_discr_arith_av_price.hpp>
30 : payoff_(type, strike), discount_(discount),
31 runningSum_(runningSum), pastFixings_(pastFixings) {
32 QL_REQUIRE(strike>=0.0,
33 "strike less than zero not allowed");
38 QL_REQUIRE(n>1,
"the path cannot be empty");
50 Real averagePrice = sum/fixings;
PlainVanillaPayoff payoff_
ArithmeticAPOPathPricer(Option::Type type, Real strike, DiscountFactor discount, Real runningSum=0.0, Size pastFixings=0)
Real operator()(const Path &path) const override
single-factor random walk
const TimeGrid & timeGrid() const
time grid
const std::vector< Time > & mandatoryTimes() const
Real DiscountFactor
discount factor between dates
std::size_t Size
size of a container